Credit Derivatives Handbook, Vol. 1: A Guide to Single-Name and Index CDS ProductsMerrill Lynch | 2006 | ISBN: N/A | 118 pages | PDF | 3,2 MB




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Merrill Lynch report from 2006 Table of Content: Section Page
Credit Derivatives –
A Market Overview
1.Market evolution, importance, participants and challenges 3
CDS Basics & Valuation
2. Basic concepts, arbitrage relationship, survival probabilities 11
Unwinding CDS
3. Mechanics for terminating contracts 21
Upfront Pricing of CDS
4. Compare upfront vs. running CDS spread 29
Valuing the CDS Basis
5. Comparing CDS with the cash market 37
What Drives the Basis?
6. Why do cash and default market spreads diverge? 47
CDS Structural Roadmap
7. Key structural considerations 54
CDS Indices
8. The ABCs of CDX and iTraxx indices 73
CDS Investment Strategies
9. Using CDS to enhance returns 88
Counterparty Risk
10. Credit risks associated with CDS trades, Novation Protocol 112